Is it fully service packed? That seems like a bug to me.
Try:
Checking most up-to-date service packs
Stopping/starting the SQL service before changing its authentication mode (could maybe be a client who hasn't disconnected? - or the service could not be running?)
If that doesn't work, you can change it in the registry:
Key: HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Microsoft SQL Server\MSSQL.1\MSSQLServer
New value: LoginMode =2
As with all registry changes, only try this if you're confident, make backups of any keys you change, I'm not held responsible etc etc.
Let me know
Edit: As an aside, are you aware that Express doesn't allow remote connections by default? (I'm assuming here that you're going from SQL Server to an express edition) Ignore that question if that's not the case